Negative house price co-movements and US recessions

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Negative house price co-movements and US recessions. / Christiansen, Charlotte; Eriksen, Jonas Nygaard; Møller, Stig Vinther.

In: Regional Science and Urban Economics, Vol. 77, No. July, 07.2019, p. 382-394.

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Christiansen, Charlotte ; Eriksen, Jonas Nygaard ; Møller, Stig Vinther. / Negative house price co-movements and US recessions. In: Regional Science and Urban Economics. 2019 ; Vol. 77, No. July. pp. 382-394.

Bibtex

@article{e1204c24ee1e4e6ab51fcdaddf15f058,
title = "Negative house price co-movements and US recessions",
abstract = "We investigate the relation between large negative house price co-movements in the cross-section of US cities and the national business cycle. The occurrences of large negative house price co-movements across cities cluster over time and these clusters are closely linked to NBER recession dates. A simple co-movement measure that aggregates large negative city-level house price returns reliably predicts future recession periods. Weighting cities according to population or GDP when constructing the negative co-movement variable yields the largest forecasting power, indicating that larger cities that contribute more to the national GDP are more influential in terms of correctly signalling future recessions. Moreover, large negative house price co-movements contribute above and beyond traditional recession predictors, suggesting an important role for city-level housing information as an early warning indicator.",
keywords = "Business cycles, Co-movements, Housing, Negative returns",
author = "Charlotte Christiansen and Eriksen, {Jonas Nygaard} and M{\o}ller, {Stig Vinther}",
year = "2019",
month = "7",
doi = "10.1016/j.regsciurbeco.2019.06.007",
language = "English",
volume = "77",
pages = "382--394",
journal = "Regional Science and Urban Economics",
issn = "0166-0462",
publisher = "Elsevier BV",
number = "July",

}

RIS

TY - JOUR

T1 - Negative house price co-movements and US recessions

AU - Christiansen, Charlotte

AU - Eriksen, Jonas Nygaard

AU - Møller, Stig Vinther

PY - 2019/7

Y1 - 2019/7

N2 - We investigate the relation between large negative house price co-movements in the cross-section of US cities and the national business cycle. The occurrences of large negative house price co-movements across cities cluster over time and these clusters are closely linked to NBER recession dates. A simple co-movement measure that aggregates large negative city-level house price returns reliably predicts future recession periods. Weighting cities according to population or GDP when constructing the negative co-movement variable yields the largest forecasting power, indicating that larger cities that contribute more to the national GDP are more influential in terms of correctly signalling future recessions. Moreover, large negative house price co-movements contribute above and beyond traditional recession predictors, suggesting an important role for city-level housing information as an early warning indicator.

AB - We investigate the relation between large negative house price co-movements in the cross-section of US cities and the national business cycle. The occurrences of large negative house price co-movements across cities cluster over time and these clusters are closely linked to NBER recession dates. A simple co-movement measure that aggregates large negative city-level house price returns reliably predicts future recession periods. Weighting cities according to population or GDP when constructing the negative co-movement variable yields the largest forecasting power, indicating that larger cities that contribute more to the national GDP are more influential in terms of correctly signalling future recessions. Moreover, large negative house price co-movements contribute above and beyond traditional recession predictors, suggesting an important role for city-level housing information as an early warning indicator.

KW - Business cycles

KW - Co-movements

KW - Housing

KW - Negative returns

UR - http://www.scopus.com/inward/record.url?scp=85068565124&partnerID=8YFLogxK

U2 - 10.1016/j.regsciurbeco.2019.06.007

DO - 10.1016/j.regsciurbeco.2019.06.007

M3 - Journal article

VL - 77

SP - 382

EP - 394

JO - Regional Science and Urban Economics

JF - Regional Science and Urban Economics

SN - 0166-0462

IS - July

ER -